This depends on what the class is trying to accomplish. If they're just distributing files and you aren't expected to work with others via projectwise, or you just want a backup copy, then you're probably looking for the Export > Send To Folder option. That will dump out a copy of the files to a location you specify.

If you're expected to be working with others using projectwise then exporting data to work outside of projectwise is a bad idea. I explain further in another note here:

Note that when you check out a file to work on it, it is copied to your machine locally, just not in an easily discernible location. In a collaborative environment it's best to work with files via ProjectWise Explorer.